Title

International yield curve prediction with common functional principal component analysis

Publication Type

Book Chapter

Publication Date

2-2017

Abstract

We propose an international yield curve predictive model, where common factors are identified using the common functional principal component (CFPC) method that enables a comparison of the variation patterns across different economies with heterogeneous covariances. The dynamics of the international yield curves are further forecasted based on the data-driven common factors in an autoregression framework. For the 1-day ahead out-of-sample forecasts of the US, Sterling, Euro and Japanese yield curve from 07 April 2014 to 06 April 2015, the CFPC factor model is compared with an alternative factor model based on the functional principal component analysis.

Keywords

Yield curve forecasting, Common factors

Discipline

Econometrics | Finance

Research Areas

Finance

Publication

Robustness in Econometrics

Volume

692

Editor

Vladik Kreinovich; Songsak Sriboonchitta; Van-Nam Huynh

First Page

287

Last Page

304

ISBN

9783319507422

Identifier

10.1007/978-3-319-50742-2_17

Publisher

Springer Verlag

Additional URL

http://doi.org/10.1007/978-3-319-50742-2_17

This document is currently not available here.

Share

COinS